Code link: 2022-C-/ARIMA Time Series Meisai Forecast.ipynb at main 3030712382/2022-C- (github.com)
https://github.com/3030712382/2022-C-/blob/main/ARIMA%E6 %97%B6%E9%97%B4%E5%BA%8F%E5%88%97%E7%BE%8E%E8%B5%9B%E9%A2%84%E6%B5%8B.ipynbOriginal title and data: (free download)
https://download.csdn.net/download/m0_58644391/82882242
Question C Chinese translation:
2022 C question translation
background
Market traders frequently buy and sell volatile assets with the goal of maximizing their total return. Usually there is a commission for every sale and purchase. There are two such assets, namely gold and bitcoin.
Figure 1: Daily price of gold in US dollars per troy ounce. Source: LBMA, 11 September 2021
Figure 2: Bitcoin Daily Price, USD/BTC Source: Nasdaq, September 11, 2021
Require
A trader asks you to develop a model that uses only the past flow of daily prices so far to determine whether the trader should buy , hold, or sell an asset in his portfolio each day .
You will start with $1,000 on September 11, 2016. You will be using a five-year trading period, from September 11, 2016 to September 10, 2021. On each trading day , a trader will have a portfolio consisting of Cash, Gold and Bitcoin [C, G, B] in USD, troy ounces and Bitcoin respectively. The initial state is [1000, 0, 0]. The commission for each transaction (buy or sell) is α% of the transaction amount . Suppose α gold = 1%, α bitcoin = 2%. There is no cost to holding assets.
Note that Bitcoin is traded on a daily basis , but gold is only traded on days when the market is open , as reflected in the pricing data files LBMA-GOLD.csv and BCHAIN-MKPRU.csv. Your model should take this transaction schedule into account .
To develop the model, you can only use data from the two spreadsheets provided: LBMA-GOLD.csv and BCHAIN-MKPRU.csv.
· Develop a model that gives an optimal daily trading strategy based only on that day 's price data. On September 10, 2021, using your model and strategy, what is the initial $1000 investment worth?
· Present evidence that your model provides the optimal policy.
• Determine the sensitivity of the strategy to transaction costs . How do transaction costs affect strategies and outcomes?
· Communicate your strategy, model and results to traders in a memo of up to two pages.
Your PDF solution of no more than 25 pages in total should include: · A one-page summary sheet. ·Table of contents. · Your complete solution. · A one- to two-page memo. · Reference list.
The two data files provided in the attachment contain the only data you should use for this problem.
1. LBMA-GOLD.csv-Date: Date Date: The format is mm-dd-yyyy (month-day-year). --USD(PM): The closing price of troy ounces of gold in U.S. dollars on the specified date .
2. BCHAIN-MKPRU.csv-Date: Date Date: The format is mm-dd-yyyy (month-day-year). -Value: USD price of a single bitcoin on the specified date .